{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2016:F2RXUXK767ZJCPTCIRQW3O34I2","short_pith_number":"pith:F2RXUXK7","canonical_record":{"source":{"id":"1602.05998","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2016-02-18T23:14:08Z","cross_cats_sorted":[],"title_canon_sha256":"d6dadef07e7e7a614501eaf509089f041b955ead366bc6037e0c2786a6139f51","abstract_canon_sha256":"3838bb998013fef34b791ecc2ef3ef5bc416c3ad9dd76a1a090a1b6d12431c63"},"schema_version":"1.0"},"canonical_sha256":"2ea37a5d5ff7f2913e6244616dbb7c469cab0ea894892dfe51d794d059078022","source":{"kind":"arxiv","id":"1602.05998","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1602.05998","created_at":"2026-05-18T00:42:39Z"},{"alias_kind":"arxiv_version","alias_value":"1602.05998v2","created_at":"2026-05-18T00:42:39Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1602.05998","created_at":"2026-05-18T00:42:39Z"},{"alias_kind":"pith_short_12","alias_value":"F2RXUXK767ZJ","created_at":"2026-05-18T12:30:15Z"},{"alias_kind":"pith_short_16","alias_value":"F2RXUXK767ZJCPTC","created_at":"2026-05-18T12:30:15Z"},{"alias_kind":"pith_short_8","alias_value":"F2RXUXK7","created_at":"2026-05-18T12:30:15Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2016:F2RXUXK767ZJCPTCIRQW3O34I2","target":"record","payload":{"canonical_record":{"source":{"id":"1602.05998","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2016-02-18T23:14:08Z","cross_cats_sorted":[],"title_canon_sha256":"d6dadef07e7e7a614501eaf509089f041b955ead366bc6037e0c2786a6139f51","abstract_canon_sha256":"3838bb998013fef34b791ecc2ef3ef5bc416c3ad9dd76a1a090a1b6d12431c63"},"schema_version":"1.0"},"canonical_sha256":"2ea37a5d5ff7f2913e6244616dbb7c469cab0ea894892dfe51d794d059078022","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:42:39.570876Z","signature_b64":"MmGNqSdAFn+Pbgs8AkFPJtnyjvAlsbnzDjqdkXdJ2eDmzWLTxbV3paZfJoXgcCA7ZZ1yIrjaDPiG/u8AXl8VDA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"2ea37a5d5ff7f2913e6244616dbb7c469cab0ea894892dfe51d794d059078022","last_reissued_at":"2026-05-18T00:42:39.570185Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:42:39.570185Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1602.05998","source_version":2,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:42:39Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"1SNZqiHl+Dk4xjFTbR/rfE3TXpgV/3G/yO0yJWQanAfhpSV+OGXkXvyBzPyz0eR9Lrzdc+bBfULG50f/N89+DA==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-28T09:05:44.023369Z"},"content_sha256":"847c90c5876541d0e0db51f4ce8b09bbd887df7345a4424a7bb7714cdb693ba5","schema_version":"1.0","event_id":"sha256:847c90c5876541d0e0db51f4ce8b09bbd887df7345a4424a7bb7714cdb693ba5"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2016:F2RXUXK767ZJCPTCIRQW3O34I2","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Funding, repo and credit inclusive valuation as modified option pricing","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Cristin Buescu, Damiano Brigo, Marek Rutkowski","submitted_at":"2016-02-18T23:14:08Z","abstract_excerpt":"We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark vulnerable claim there is an analytical solution, and we express it in terms of the Black-Scholes formula with dividends. This allows for a detailed valuation analysis, stress testing and risk analysis via sensitivities."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1602.05998","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:42:39Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"DYnuwsNZ5e1VgceRuVnmma3zWq1Pxt6k9HTDticnc5iF67WcZMUG29IgffupHqU5TxUfwbaI0KtGpFEGVDPeDQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-28T09:05:44.023755Z"},"content_sha256":"a23936cccffe8eeff7f04e513be9a6a685f3c2e63409362e73a152403780f16d","schema_version":"1.0","event_id":"sha256:a23936cccffe8eeff7f04e513be9a6a685f3c2e63409362e73a152403780f16d"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/F2RXUXK767ZJCPTCIRQW3O34I2/bundle.json","state_url":"https://pith.science/pith/F2RXUXK767ZJCPTCIRQW3O34I2/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/F2RXUXK767ZJCPTCIRQW3O34I2/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-05-28T09:05:44Z","links":{"resolver":"https://pith.science/pith/F2RXUXK767ZJCPTCIRQW3O34I2","bundle":"https://pith.science/pith/F2RXUXK767ZJCPTCIRQW3O34I2/bundle.json","state":"https://pith.science/pith/F2RXUXK767ZJCPTCIRQW3O34I2/state.json","well_known_bundle":"https://pith.science/.well-known/pith/F2RXUXK767ZJCPTCIRQW3O34I2/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2016:F2RXUXK767ZJCPTCIRQW3O34I2","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"3838bb998013fef34b791ecc2ef3ef5bc416c3ad9dd76a1a090a1b6d12431c63","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2016-02-18T23:14:08Z","title_canon_sha256":"d6dadef07e7e7a614501eaf509089f041b955ead366bc6037e0c2786a6139f51"},"schema_version":"1.0","source":{"id":"1602.05998","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1602.05998","created_at":"2026-05-18T00:42:39Z"},{"alias_kind":"arxiv_version","alias_value":"1602.05998v2","created_at":"2026-05-18T00:42:39Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1602.05998","created_at":"2026-05-18T00:42:39Z"},{"alias_kind":"pith_short_12","alias_value":"F2RXUXK767ZJ","created_at":"2026-05-18T12:30:15Z"},{"alias_kind":"pith_short_16","alias_value":"F2RXUXK767ZJCPTC","created_at":"2026-05-18T12:30:15Z"},{"alias_kind":"pith_short_8","alias_value":"F2RXUXK7","created_at":"2026-05-18T12:30:15Z"}],"graph_snapshots":[{"event_id":"sha256:a23936cccffe8eeff7f04e513be9a6a685f3c2e63409362e73a152403780f16d","target":"graph","created_at":"2026-05-18T00:42:39Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark vulnerable claim there is an analytical solution, and we express it in terms of the Black-Scholes formula with dividends. This allows for a detailed valuation analysis, stress testing and risk analysis via sensitivities.","authors_text":"Cristin Buescu, Damiano Brigo, Marek Rutkowski","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2016-02-18T23:14:08Z","title":"Funding, repo and credit inclusive valuation as modified option pricing"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1602.05998","kind":"arxiv","version":2},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:847c90c5876541d0e0db51f4ce8b09bbd887df7345a4424a7bb7714cdb693ba5","target":"record","created_at":"2026-05-18T00:42:39Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"3838bb998013fef34b791ecc2ef3ef5bc416c3ad9dd76a1a090a1b6d12431c63","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2016-02-18T23:14:08Z","title_canon_sha256":"d6dadef07e7e7a614501eaf509089f041b955ead366bc6037e0c2786a6139f51"},"schema_version":"1.0","source":{"id":"1602.05998","kind":"arxiv","version":2}},"canonical_sha256":"2ea37a5d5ff7f2913e6244616dbb7c469cab0ea894892dfe51d794d059078022","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"2ea37a5d5ff7f2913e6244616dbb7c469cab0ea894892dfe51d794d059078022","first_computed_at":"2026-05-18T00:42:39.570185Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:42:39.570185Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"MmGNqSdAFn+Pbgs8AkFPJtnyjvAlsbnzDjqdkXdJ2eDmzWLTxbV3paZfJoXgcCA7ZZ1yIrjaDPiG/u8AXl8VDA==","signature_status":"signed_v1","signed_at":"2026-05-18T00:42:39.570876Z","signed_message":"canonical_sha256_bytes"},"source_id":"1602.05998","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:847c90c5876541d0e0db51f4ce8b09bbd887df7345a4424a7bb7714cdb693ba5","sha256:a23936cccffe8eeff7f04e513be9a6a685f3c2e63409362e73a152403780f16d"],"state_sha256":"e3b5ce15d5935dd9c676bdcb6b28514b35f27e66d226cc9a28e2d0c89a1aa843"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"huUl87epaGL9LRbb136LjF47Foxllp6p6N1s4l327fkzpkp9Frj4bMiz+Zj444/MT1+PdRDuGsqFGd5A4TrzDw==","signed_message":"bundle_sha256_bytes","signed_at":"2026-05-28T09:05:44.025795Z","bundle_sha256":"3459a1701436c724fc270dabe7d9f49cc9ec1d9ff66aa048bb4cdb4db8b8b958"}}